Numerical Methods for Stochastic Partial Differential Equations with White Noise
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- Artikel-Nr.: 10470812
Beschreibung
Preface.- Prologue.- Brownian Motion and Stochastic Calculus.- Numerical Methods for Stochastic Differential Equations.- Part I Stochastic Ordinary Differential Equations.- Numerical Schemes for SDEs with Time Delay Using the Wong-Zakai Approximation.- Balanced Numerical Schemes for SDEs with non-Lipschitz Coefficients.- Part II Temporal White Noise.- Wiener Chaos Methods for Linear Stochastic Advection-Diffusion-Reaction Equations.- Stochastic Collocation Methods for Differential Equations with White Noise.- Comparison Between Wiener Chaos Methods and Stochastic Collocation Methods.- Application of Collocation Method to Stochastic Conservation Laws.- Part III Spatial White Noise.- Semilinear Elliptic Equations with Additive Noise.- Multiplicative White Noise: The Wick-Malliavin Approximation.- Epilogue.- Appendices.- A. Basics of Probability.- B. Semi-analytical Methods for SPDEs.- C. Gauss Quadrature.- D. Some Useful Inequalities and Lemmas.- E. Computation of Convergence Rate.
Eigenschaften
Breite: | 156 |
Gewicht: | 629 g |
Höhe: | 238 |
Länge: | 23 |
Seiten: | 394 |
Sprachen: | Englisch |
Autor: | George Em Karniadakis, Zhongqiang Zhang |
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